一类修正的广义拟牛顿法解互补问题
A Class of Modified Generalized Quasi-Newtion Algorithms for Solving Complementarity Problem

作者: 王炜 * , 贾宗伟 * , 韩永闯 :辽宁师范大学数学学院,大连;

关键词: 互补问题无约束优化问题广义拟牛顿算法Complementarity Problem Unconstrained Optimization Problem Generalized Quasi-Newtion Algorithms

摘要:
互补问题自被提出至今,人们对它进行了一系列研究,提出了许多有效算法,比较常用的有投影法、内点法、光滑(非光滑)牛顿法等。本文利用Fischer-Burmeister函数将互补问题转化为无约束优化问题,再利用修正的广义拟牛顿算法求解。改进后的算法经数值实验验证有良好的数值效果。

Abstract:
Since the complementarity problem is proposed, people have done series of research, propose a lot of efficient algorithms, more used methods are projection method, interior-point method, smooth (nonsmooth) Newton method, etc. In this paper, complementarity problem is convert into unconstrained optimization by using Fischer-Burmeister function, then unconstrained optimization is solved by modified generalized quasi-Newton algorithm. the improved algorithm has good numerical results verified by numerical experiments.

文章引用: 王炜 , 贾宗伟 , 韩永闯 (2012) 一类修正的广义拟牛顿法解互补问题。 运筹与模糊学, 2, 19-24. doi: 10.12677/orf.2012.22003

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